No arbitrage for two price economies with no locally risk free asset implies that suitably deflated prices are nonlinear martingales. However, both the deflating process and the measure change depend on the process being deflated. Further assumptions allow the nonlinear martingales in discrete...

We contrast two different asset pricing models, where the pricing kernel either (i) increases in the volatility dimension, reflecting investors' aversion to volatility, or (ii) could be non-monotonic in volatility, reflecting heterogeneity in investors' beliefs. The two models yield opposite...

Options on an ADR reflect the correlations between the local stock and the foreign currency price of the US dollar while local option surfaces calibrate the marginal laws. After developing a general procedure for pricing all three sets of options from a model for the joint law on the local stock...